ReSolve Return Stacked 60-40

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Rtn Stacked Risk Managed US St & Bd Fd USD Class I (NFDIX)15.00%
RATIONAL/RESOLVE ADAPTIVE ASSET ALLOCATION FUND INSTITUTIONAL SHARES (RDMIX)15.00%
CATALYST/MILLBURN HEDGE STRATEGY FUND CLASS I (MBXIX)15.00%
STANDPOINT MULTI-ASSET FUND INSTITUTIONAL CLASS (BLNDX)12.50%
ABBEY CAPITAL MULTI ASSET FUND CLASS I SHARES (MAFIX)12.50%
PIMCO STOCKSPLUS LONG DURATION FUND INSTITUTIONAL (PSLDX)10.00%
SIMPLIFY US EQUITY PLUS CONVEXITY ETF (SPYC)10.00%
iShares Core U.S. Aggregate Bond ETF (AGG)10.00%
Benchmark
US 60/40

Policy Report

Backtest Report

From to (3y 10m 15d)

Returns (annualized)

Portfolio 8.19%
Benchmark 7.95%

Risk (annualized)

Portfolio 9.65%
Benchmark 11.25%

Sharpe (annualized)

Portfolio 0.60
Benchmark 0.51

Excess Return (annualized)

0.24%

Tracking Error (annualized)

5.28%

Information Ratio

0.05
Statistic Portfolio Benchmark
Downside Volatility 10.06% 11.49%
Sortino Ratio 0.58 0.50
Calmar Ratio 0.41 0.27
Ulcer Index 15.10 14.89
Max Drawdown 14.20% 21.27%
VaR (99% Confidence) $-2,242 $-2,616
VaR (99.9% Confidence) $-2,978 $-3,475
Beta to Benchmark 0.76 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.84

Skew

-0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0002 0.0002
Duration Factor 0.0657 0.0657
Market Factor 0.5231 0.5231
U.S. Tilt (Non U.S.) 0.1586 0.1586
Yield Curve Factor 0.0519 0.0519

Adjusted R2

Portfolio 0.82
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution